Stock Index Enhancement strategy with index futures

1.1 Basis of the strategy design Since 20th Dec,2019 to 30th Nov,2021, annualized return from hold and roll front month IF contract is 14.7%,annualized return from hold and roll current quarter IF contract is 13.2%.
The annualized excess returns are 4.7% and 3.2% respectively.
Since 20th Dec,2020 to 30th Nov,2021, annualized return from hold and roll front month IC contract is 28%, annualized return from hold and roll current quarter IC contract is 26.6%.
The annualized excess returns are 9.7%, 8.3%.

1.2 Why there is positive return for long front month and short rear month arbitrage strategy?
Calculation of premium or discount rate: (futures – stock) / stock * 360 / remaining days to futures expiry
Phenomenon 1: mostly, the hedging cost of IC front month contract is expensive than which of IC rear month contract
Phenomenon 2: The annualized cost to short roll IC front month contract to IC near month contract is increasing when approaching the date of expiry

1.3 The back test of strategy of long front month contract and short rear month contract
This strategy performed not bad before year of 2020, but the snowball strategy disturbed lots on this strategy when entering year of 2021
Entering year of 2021, CSI500 Index has the obvious negative correlation with net long positions holdings of top 20 members, which hints when CSI500 index was in weakness, the dominant funds will buy more IC contracts. When CSI500 index performed strong, the dominant funds will reduce long positions of IC.

1.4 Estimated asset amount of snowball products linked to CSI500 Index (Beneficial Certificate)
Assumption 1: As of Aug,2021, the existing amount of beneficial certificate is around 400 billion yuan, among it, about 30% is non-fixed income products, with amount of about 120 billion yuan.
Assumption 2: Assuming 70% of the non-fixed income products is the snowball products, then the asset amount of snowball products is 84 billion yuan.
Assumption 3: Assuming there is 75% of the snowball products linked to CSI500 Index, then it is calculated that the asset amount of snowball products linked to CSI500 Index is 63 billion yuan.
Assumption 4: At the end of August, the price of CSI500 Index is 7255, assumed 30% to hedge, the holding positons of IC should be 13000 lots.

1.5 Estimated asset amount of snowball products linked to CSI500 Index (OTC options)
Assumption 1: As of August,2021, the existing amount of OTC options is around 800 billion yuan.
Assumption 2: Assuming there is 10% of the snowball products linked to CSI500 Index, then it is calculated that the asset amount of snowball products linked to CSI500 is 80 billion yuan.
Assumption 3, At the end of August, the price of CSI500 Index is 7255, assumed 30% to hedge, the holding positions of IC should be 16500 lots.

1.6 Method of optimization:
When annualized discount rate of current quarter contract larger than -4% or
when annualized discount rate of current month contract - annualized discount rate of current quarter contract larger than 2%,
Then do long front month contract short rear month contract for 2 days, the annualized return of this strategy with timing optimization is 5.19% with max drawdown of 1.38%


股指期货增厚策略

1.1 策略出发点
2019年12月20日至2021年11月30日，滚动持有IF当月年化收益率14.7%， 滚动持有IF当季年化收益率13.2%， 年化超额收益率分别为4.7%，3.2%。
2019年12月20日至2021年11月30日，滚动持有IC当月年化收益率28%， 滚动持有IC当季年化收益率26.6%，年化超额收益率分别是9.7%，8.3%。

1.2 买近卖远策略为何具有正收益
引入年化折溢价率：（ 期货- 现货）/ 现货 *360 / 期货距离交割日自然日
现象1： 大部分情形下，IC近月的对冲成本高于IC远月
现象2： IC当月移仓至IC次月的年化成本，随着交割日的临近逐步抬升

1.3 买近卖远策略收益回溯
2020年之前策略表现尚可，但进入2021年雪球策略对其收益形成扰动
进入2021年，中证500指数与前20大席位的净多持仓呈现显著负相关，暗示中证500弱势时，主力资金加仓IC多单，中证500强势时，主力资金减仓IC多单。

1.4 挂钩500雪球结构的规模估算（收益凭证）
假设1：截止2021年8月，收益凭证存量规模约为4000亿，其中约三成为非固定收益型，其存量规模约为1200亿
假设2：假设非固定收益有70%为雪球结构，则雪球结构规模为840亿
假设3: 按照75%的雪球结果挂钩中证500计算，500雪球结构规模为630亿
假设4：8月底中证500指数价格为7255， 按照3成仓位估算IC持仓量约为13000手

1.5 挂钩500雪球结构的规模估算（场外期权）
假设1：截止2021年8月，场外期权存量规模约为8000亿
假设2： 假设有10% 为挂钩中证500的雪球结构，则500雪球结构规模为800亿
假设3： 8月底中证500指数价格为7255， 按照3成仓位估算IC持仓量约为16500手

1.6 优化方案： 纳入择时项
若当季合约年化折溢价率大于 -4% 或当月合约年化折溢价率 – 当季合约年化折溢价率 大于2%， 则进行两日买近卖远交易， 择时后策略年化收益率 5.19%， 最大回撤 1.38%。